Výsledky vyhľadávania - "Modeling and Forecasting Financial Volatility"

A novel compound G family with properties, copulas, modelling the asymmetric and positive-skewed engineering and medical data

Autori: Ohud A. Alqasem Sara Mohamed Ahmed Alsheikh Hassan Alsuhabi a ďalší

Zdroj: Alexandria Engineering Journal, Vol 98, Iss, Pp 80-96 (2024)

Predmety: Statistics and Probability, Aging, Asymmetric-positive-skewed relief, Social Sciences, Real-life data, Engineering (General). Civil engineering (General), Computer science, Decision Sciences, FOS: Economics and business, Economics, Econometrics and Finance, Characteristics, Modeling and Forecasting Financial Volatility, Skew Distributions and Applications in Statistics, Applications, Physical Sciences, Uncertainty Quantification and Sensitivity Analysis, Copula Modeling, FOS: Mathematics, Econometrics, TA1-2040, Statistics, Probability and Uncertainty, Reliability analysis, Mathematics, Finance

Prístupová URL adresa: https://doaj.org/article/5cd0e676c7674098bdd2ac63b351a189

A changepoint analysis of exchange rate and commodity price risks for Latin American stock markets

Autori: Hans Manner Gabriel Rodríguez Florian Stöckler

Zdroj: International Review of Economics & Finance. 89:1385-1403

Predmety: Monetary economics, Financial economics, Economics and Econometrics, Economics, Macroeconomics, Social Sciences, FOS: Mechanical engineering, Exchange Rates, Exchange rate, Horse, Value at risk, FOS: Economics and business, Engineering, Stock markets, commodity prices, Changepoint analysis, volatility, dependence modeling, copula, CoVaR, Oil Price Shocks, Copula (linguistics), Econometrics, Volatility Spillovers, Spillover effect, Biology, Autoregressive conditional heteroskedasticity, Volatility (finance), Stock market, Macroeconomic Analysis and Policy Implications, Commodity market, 1. No poverty, Paleontology, Mechanical engineering, 3. Good health, Economics, Econometrics and Finance, Risk management, Modeling and Forecasting Financial Volatility, Impact of Oil Price Shocks on Economy, Volatility, 8. Economic growth, Stock (firearms), General Economics, Econometrics and Finance, Finance

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Inference and other aspects for $ q- $Weibull distribution via generalized order statistics with applications to medical datasets

Autori: M. Nagy H. M. Barakat M. A. Alawady a ďalší

Zdroj: AIMS Mathematics, Vol 9, Iss 4, Pp 8311-8338 (2024)

Predmety: Statistics and Probability, Artificial intelligence, concomitants, Social Sciences, Weibull Distribution, FOS: Economics and business, Inference, Order statistic, Skew Distributions and Applications in Statistics, QA1-939, FOS: Mathematics, weighted extropy, Econometrics, Data mining, bivariate $ q $-weibull distribution, Global and Planetary Change, $ q $-weibull distribution, 4. Education, generalized order statistics, Statistics, maximum likelihood estimator, bayesian technique, Computer science, Generalized Exponential, Economics, Econometrics and Finance, Modeling and Forecasting Financial Volatility, Physical Sciences, Global Drought Monitoring and Assessment, Environmental Science, Weibull distribution, extropy, Mathematics, Finance, Statistical inference

Prístupová URL adresa: https://doaj.org/article/cce9febff19f40549c74bbd9e429b682

Exponentiated extended extreme value distribution: Properties, estimation, and applications in applied fields

Autori: M. G. M. Ghazal Yusra Tashkandy Oluwafemi Samson Balogun a ďalší

Zdroj: AIMS Mathematics, Vol 9, Iss 7, Pp 17634-17656 (2024)

Predmety: Statistics and Probability, exponentiated extended extreme value distribution, hazard rate, 0211 other engineering and technologies, Social Sciences, 02 engineering and technology, 01 natural sciences, Mathematical analysis, estimation methods, Decision Sciences, Systems engineering, FOS: Economics and business, Value (mathematics), Engineering, lifetime data, Skew Distributions and Applications in Statistics, Field (mathematics), QA1-939, FOS: Mathematics, Econometrics, 0101 mathematics, Maximum Likelihood Estimation, mathematical statistics, Distribution (mathematics), Physics, Extreme value theory, Statistics, Pure mathematics, Probabilistic Design Optimization, Realized Volatility, Computer science, 3. Good health, Generalized Exponential, Economics, Econometrics and Finance, Modeling and Forecasting Financial Volatility, Physical Sciences, Uncertainty Quantification and Sensitivity Analysis, Multivariate Analysis, simulations, Generalized extreme value distribution, Statistical physics, Statistics, Probability and Uncertainty, Estimation, Mathematics, Finance

Prístupová URL adresa: https://doaj.org/article/5a2941ae36a9418a8149e320a6c117ab

Evaluation of Dependency Structure for Multivariate Weather Predictors Using Copulas

Autori: Samuel C. Maina Dorcas Mwigereri Jonathan Weyn a ďalší

Zdroj: ACM Journal on Computing and Sustainable Societies. 1:1-23

Predmety: Climate Change and Variability Research, Social Sciences, 01 natural sciences, Environmental science, FOS: Economics and business, Meteorology, Tail dependence, 11. Sustainability, FOS: Mathematics, Climate change, Copula (linguistics), Econometrics, 14. Life underwater, 0101 mathematics, Biology, 0105 earth and related environmental sciences, Climatology, 2. Zero hunger, Global and Planetary Change, Vine copula, Geography, Ecology, Statistics, Extreme value theory, Geology, FOS: Earth and related environmental sciences, 15. Life on land, Computer science, Multivariate statistics, 6. Clean water, Bivariate analysis, Economics, Econometrics and Finance, Gumbel distribution, Modeling and Forecasting Financial Volatility, 13. Climate action, FOS: Biological sciences, Global Drought Monitoring and Assessment, Environmental Science, Physical Sciences, Copula Modeling, Finance, Mathematics, Climate Modeling

Generalized BSDEs driven by RCLL martingales with stochastic monotone coefficients

Autori: Badr Elmansouri Mohamed El Otmani

Zdroj: Modern Stochastics: Theory and Applications, Vol 11, Iss 1, Pp 109-128 (2023)

Predmety: RCLL martingale, Economics and Econometrics, 0209 industrial biotechnology, Existence and Dynamics of Monetary Equilibrium Models, Yosida approximation, Social Sciences, Geometry, Generalized BSDEs with jumps, Stochastic Calculus, 02 engineering and technology, Mathematical analysis, 01 natural sciences, Theory and Applications of Option Pricing Models, QA1-939, FOS: Mathematics, 0101 mathematics, Martingale (probability theory), Stochastic Lipschitz coefficient, T57-57.97, Applied mathematics. Quantitative methods, Stochastic differential equation, stochastic monotone coefficient, Lipschitz continuity, Applied mathematics, 16. Peace & justice, Economics, Econometrics and Finance, Modeling and Forecasting Financial Volatility, Monotone polygon, Uniqueness, Finance, Mathematics

Prístupová URL adresa: https://doaj.org/article/4bdbc00b90c045cf8be77174f8a4472d

Flexible Lévy-Based Models for Time Series of Count Data with Zero-Inflation, Overdispersion, and Heavy Tails

Autori: Confort Kollie Philip Ngare Bonface Malenje

Zdroj: Journal of Probability and Statistics, Vol 2023 (2023)

Predmety: Economics and Econometrics, Artificial intelligence, Flexibility (engineering), Social Sciences, 02 engineering and technology, Econophysics: Complexity in Financial Markets, 01 natural sciences, QA273-280, Overdispersion, FOS: Economics and business, Range (aeronautics), Context (archaeology), Engineering, Agent-Based Modeling, Inference, FOS: Mathematics, 0202 electrical engineering, electronic engineering, information engineering, Econometrics, 0101 mathematics, Biology, Count data, Global and Planetary Change, Statistics, Paleontology, 15. Life on land, Computer science, Economics, Econometrics and Finance, Aerospace engineering, Modeling and Forecasting Financial Volatility, 13. Climate action, Global Drought Monitoring and Assessment, Environmental Science, Physical Sciences, Poisson distribution, Probabilities. Mathematical statistics, Finance, Mathematics

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Prístupová URL adresa: https://doaj.org/article/2da2f87a22734ff4bbb1b03d96be892a

Shrinkage Methods for Estimating the Shape Parameter of the Generalized Pareto Distribution

Autori: Wilhemina Adoma Pels Atinuke O. Adebanji Sampson Twumasi-Ankrah a ďalší

Zdroj: Journal of Applied Mathematics, Vol 2023 (2023)

Predmety: Statistics and Probability, Social Sciences, Pareto interpolation, Regularization and Variable Selection Methods, Pareto distribution, Generalized method of moments, 01 natural sciences, Estimator, Mathematical analysis, Shape parameter, 0502 economics and business, QA1-939, FOS: Mathematics, Classical mechanics, 0101 mathematics, Sparse Models, Global and Planetary Change, Lomax distribution, Distribution (mathematics), Physics, 05 social sciences, Statistics, Mathematical optimization, Extreme value theory, Moment (physics), Applied mathematics, Generalized Pareto distribution, Economics, Econometrics and Finance, Modeling and Forecasting Financial Volatility, Global Drought Monitoring and Assessment, Environmental Science, Physical Sciences, Pareto principle, Finance, Mathematics

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Prístupová URL adresa: https://doaj.org/article/61a2887636a248d881a2b418265803cf

A Jump Diffusion Model with Fast Mean-Reverting Stochastic Volatility for Pricing Vulnerable Options

Autori: Joy K. Nthiwa A. Theodorsen R. Kube Cyprian Ondieki Omari

Zdroj: Discrete Dynamics in Nature and Society, Vol 2023 (2023)

Predmety: Economics, Social Sciences, Jump diffusion, Financial market, 01 natural sciences, Quantum mechanics, FOS: Economics and business, Mean reversion, Black–Scholes model, Theory and Applications of Option Pricing Models, 0502 economics and business, QA1-939, FOS: Mathematics, Econometrics, Implied volatility, Stochastic volatility, 0101 mathematics, Option Pricing, Valuation of options, Demography, Volatility (finance), Mortality Forecasting, Jump, Volatility Modeling, Physics, 05 social sciences, Realized Volatility, FOS: Sociology, Economics, Econometrics and Finance, Modeling and Forecasting Financial Volatility, Jump Diffusion, Population Ageing Research, Finance, Mathematics

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Prístupová URL adresa: https://doaj.org/article/1a4a85b5769e431087dde88d4569291f

Forecasting the Volatility of Real Residential Property Prices in Malaysia: A Comparison of Garch Models

Autori: Ahmad Abubakar Suleiman Hanita Daud Lazim Abdullah a ďalší

Zdroj: Real Estate Management and Valuation, Vol 31, Iss 3, Pp 20-31 (2023)

Predmety: egarch model gjr-garch model, Financial economics, Monetary economics, Economics and Econometrics, Volatility swap, Electricity Price and Load Forecasting Methods, Economics, Social Sciences, Heteroscedasticity, Forward volatility, 7. Clean energy, FOS: Economics and business, Engineering, GARCH Models, 0502 economics and business, 11. Sustainability, FOS: Electrical engineering, electronic engineering, information engineering, Property Values, Econometrics, Implied volatility, Electrical and Electronic Engineering, Consequences of Mortgage Credit Expansion and Housing Market Dynamics, Volatility (finance), Autoregressive conditional heteroskedasticity, Electricity Price Forecasting, volatility forecasting, 05 social sciences, 1. No poverty, HD1361-1395.5, Realized Volatility, garch model, Economics, Econometrics and Finance, Modeling and Forecasting Financial Volatility, Volatility, Physical Sciences, 8. Economic growth, c58, residential property price, c53, Real estate business, Finance

Prístupová URL adresa: https://doaj.org/article/f1e4ef33448149d19707378f66e5a2a7

Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks

Autori: Tiantian Mao Gilles Stupfler Fan Yang

Zdroj: Insurance: Mathematics and Economics. 111:173-192

Predmety: Financial economics, Risk measure, Economics, Asymptotic analysis, Social Sciences, Management Science and Operations Research, Expected shortfall, Estimator, Decision Sciences, Coherent risk measure, FOS: Economics and business, Coherent Risk Measures, FOS: Mathematics, Econometrics, Robust Optimization for Risk Management and Finance, Quantile, Data mining, Macroeconomic Analysis and Policy Implications, Statistics, 1. No poverty, Measure (data warehouse), Computer science, Management, Economics, Econometrics and Finance, Risk management, Modeling and Forecasting Financial Volatility, Risk Management (q-fin.RM), 8. Economic growth, General Economics, Econometrics and Finance, Portfolio, Finance, Mathematics, Quantitative Finance - Risk Management

Prístupová URL adresa: http://arxiv.org/abs/2411.07212

Improving the bias of a pseudo-maximum likelihood estimate of the extreme value index by k-records

Autori: Abderrahim Louzaoui Mohamed El Arrouchi

Zdroj: Journal of Statistical Theory and Applications (JSTA), Vol 22, Iss 1-2, Pp 54-69 (2023)

Predmety: Economics and Econometrics, Social Sciences, 01 natural sciences, Estimator, QA273-280, FOS: Economics and business, Value (mathematics), Order statistic, Extreme value index, FOS: Mathematics, Asymptotic normality, Econometrics, 0101 mathematics, Global and Planetary Change, Normality, Asymptotic distribution, Second order condition, Statistics, Extreme value theory, Maximum likelihood estimation, Applied mathematics, Computer science, World Wide Web, Economics, Econometrics and Finance, k-Record values, Modeling and Forecasting Financial Volatility, Impact of Oil Price Shocks on Economy, Global Drought Monitoring and Assessment, Environmental Science, Physical Sciences, Multivariate Analysis, Bias correction, Probabilities. Mathematical statistics, Finance, Mathematics, Index (typography), Maximum likelihood

Prístupová URL adresa: https://doaj.org/article/329989083e634c15bbe7afba57c66ddf

Statistical modelling for the Covid-19 mortality rate in the Kingdom of Saudi Arabia

Autori: Osama Abdulaziz Alamri Abdulrahman H Alessa Eslam Hussam a ďalší

Zdroj: Alexandria Engineering Journal
Alexandria Engineering Journal, Vol 68, Iss, Pp 517-526 (2023)

Predmety: Social Sciences, Organic chemistry, Evolutionary biology, Infectious disease (medical specialty), 02 engineering and technology, Estimator, 01 natural sciences, Skew Distributions and Applications in Statistics, Probability density function, Pathology, 0202 electrical engineering, electronic engineering, information engineering, Disease, Quantile, 4. Education, Statistics, Engineering (General). Civil engineering (General), Classical methods, Programming language, 3. Good health, Economics, Econometrics and Finance, Chemistry, Function (biology), Physical Sciences, Exponential distribution, Medicine, Original Article, TA1-2040, Model-Based Clustering with Mixture Models, Hazard, Statistics and Probability, Data set, Skew Distributions, Set (abstract data type), Mathematical analysis, New extension-X, Maximum product spacing. AIC, Artificial Intelligence, FOS: Mathematics, 0101 mathematics, Biology, Length-biased exponential distribution, Distribution (mathematics), Exponential function, Applied mathematics, Computer science, Coronavirus disease 2019 (COVID-19), Modeling and Forecasting Financial Volatility, Computer Science, Mathematics, Finance

Prístupová URL adresa: https://doaj.org/article/4bfd300ccadc47df9d003ae709e12b8f

Analyzing the Rainfall Pattern in Honduras Through Non-Homogeneous Hidden Markov Models

Autori: Gustavo Alexis Sabillón Daiane Aparecida Zuanetti

Zdroj: Journal of Data Science. :799-817

Predmety: Artificial intelligence, Data set, Markov chain, Mixture Models, Social Sciences, Set (abstract data type), Bayesian probability, 01 natural sciences, FOS: Economics and business, Artificial Intelligence, Machine learning, FOS: Mathematics, Expectation–maximization algorithm, Homogeneous, Econometrics, 14. Life underwater, 0101 mathematics, Data mining, Hidden Markov Models, Hidden Markov model, Global and Planetary Change, Statistics, Covariate, 15. Life on land, Computer science, Programming language, Economics, Econometrics and Finance, Modeling and Forecasting Financial Volatility, Combinatorics, 13. Climate action, Computer Science, Physical Sciences, Global Drought Monitoring and Assessment, Environmental Science, Model-Based Clustering with Mixture Models, Finance, Mathematics, Maximum likelihood

Continuous Tsallis and Renyi extropy with pharmaceutical market application

Autori: Mohamed Said Mohamed Najwan Alsadat Oluwafemi Samson Balogun

Zdroj: AIMS Mathematics, Vol 8, Iss 10, Pp 24176-24195 (2023)

Predmety: Economics and Econometrics, Social Sciences, Geometry, non-parametric estimation, Econophysics: Complexity in Financial Markets, Tsallis statistics, renyi entropy, Statistical Mechanics with Long-Range Interactions and Nonextensivity, QA1-939, FOS: Mathematics, Series (stratigraphy), Connection (principal bundle), Data mining, Biology, tsallis entropy, Physics, 4. Education, Statistics, Paleontology, Statistical and Nonlinear Physics, Measure (data warehouse), Applied mathematics, Computer science, Economics, Econometrics and Finance, Physics and Astronomy, Modeling and Forecasting Financial Volatility, Parametric statistics, Physical Sciences, Statistical physics, extropy, time series, Tsallis entropy, Finance, Tsallis Statistics, Mathematics

Prístupová URL adresa: https://doaj.org/article/b990b8f4e40f423fa4f05d655192ace1

Extending time-series models for irregular observational gaps with a moving average structure for astronomical sequences

Autori: César Ojeda Wilfredo Palma S. Eyheramendy a ďalší

Zdroj: RAS Techniques and Instruments. 2:33-44

Predmety: Statistics and Probability, Hessian matrix, Outlier Detection, Time series, Robust Estimation, Parameter Estimation, Social Sciences, Autoregressive model, Estimator, FOS: Mathematics, Series (stratigraphy), Robust Statistics, Estimation theory, Biology, Total Least Squares Methods and Applications, Applied Mathematics, 4. Education, Autoregressive–moving-average model, Statistics, Paleontology, Applied mathematics, Algorithm, Economics, Econometrics and Finance, Modeling and Forecasting Financial Volatility, Autocorrelation, Physical Sciences, Kalman filter, Mathematics, Finance, Detection and Handling of Multicollinearity in Regression Analysis, Forecasting

A novel bivariate Lomax-G family of distributions: Properties, inference, and applications to environmental, medical, and computer science data

Autori: Aisha Fayomi Ehab M. Almetwally Maha E. Qura

Zdroj: AIMS Mathematics, Vol 8, Iss 8, Pp 17539-17584 (2023)

Predmety: Statistics and Probability, Social Sciences, lomax-g family of distributions, multivariate distributions, FOS: Economics and business, Skew Distributions and Applications in Statistics, QA1-939, FOS: Mathematics, Univariate, Copula (linguistics), Econometrics, skewed distribution, Global and Planetary Change, Normality, Lomax distribution, Statistics, dependence concepts, 16. Peace & justice, Normal family, Multivariate statistics, Bivariate analysis, Economics, Econometrics and Finance, Modeling and Forecasting Financial Volatility, Physical Sciences, Global Drought Monitoring and Assessment, Environmental Science, Copula Modeling, bivariate lomax-g family of distributions, Pareto principle, Mathematics, Finance, bayesian estimation

Prístupová URL adresa: https://doaj.org/article/b8fc518c80e24084bff83ee7f64a9a4b

An alternative hyper-Poisson integer-valued GARCH model with application to polio, internet protocol and COVID-19 data

Autori: Kee Wah Fo S. H. Ong Choung Min Ng a ďalší

Zdroj: AIMS Mathematics, Vol 8, Iss 12, Pp 29116-29139 (2023)

Predmety: Statistics and Probability, polio, Population, Social Sciences, integer-valued garch, Overdispersion, Poisson regression, FOS: Economics and business, GARCH Models, internet protocol, Variance (accounting), Skew Distributions and Applications in Statistics, Accounting, QA1-939, FOS: Mathematics, Series (stratigraphy), Business, Econometrics, Biology, Count data, Global and Planetary Change, Physics, Statistics, Paleontology, Optics, alternative hyper-poisson, Quasi-likelihood, Dispersion (optics), 3. Good health, Economics, Econometrics and Finance, Environmental health, covid-19, Modeling and Forecasting Financial Volatility, Physical Sciences, Global Drought Monitoring and Assessment, Environmental Science, Poisson distribution, Medicine, Negative binomial distribution, time series of counts, Finance, Mathematics

Prístupová URL adresa: https://doaj.org/article/c4be27eaaf874bc3820154b6ef6fb926

Further properties of Tsallis extropy and some of its related measures

Autori: Mohamed Said Mohamed H. M. Barakat Aned Al Mutairi a ďalší

Zdroj: AIMS Mathematics, Vol 8, Iss 12, Pp 28219-28245 (2023)

Predmety: Statistics and Probability, Relation (database), Random variable, Social Sciences, Evolutionary biology, stochastic orders, non-parametric estimation, tsallis extropy, Tsallis statistics, Mathematical analysis, Lifetime Modeling, Context (archaeology), Independent and identically distributed random variables, Skew Distributions and Applications in Statistics, Statistical Mechanics with Long-Range Interactions and Nonextensivity, QA1-939, FOS: Mathematics, Data mining, Biology, tsallis entropy, Physics, Statistics, Paleontology, Statistical and Nonlinear Physics, Measure (data warehouse), Applied mathematics, Computer science, Algorithm, Economics, Econometrics and Finance, Generalized Entropies, Physics and Astronomy, Modeling and Forecasting Financial Volatility, Function (biology), Parametric statistics, Residual, Physical Sciences, Statistical physics, extropy, Tsallis entropy, Mathematics, Finance, Tsallis Statistics, Monotonic function

Prístupová URL adresa: https://doaj.org/article/28919123448f4b6fa39bcdcc10a26a9d

Bivariate q-extended Weibull morgenstern family and correlation coefficient formulas for some of its sub-models

Autori: Rasha Abd-Elwahaab Attwa Taha Radwan Esraa Osama Abo Zaid

Zdroj: AIMS Mathematics, Vol 8, Iss 11, Pp 25325-25342 (2023)

Predmety: Statistics and Probability, extended weibull family of disributions, fgm, Social Sciences, Geometry, FOS: Economics and business, Skew Distributions and Applications in Statistics, QA1-939, FOS: Mathematics, Univariate, Copula (linguistics), Econometrics, Extension (predicate logic), Physics, statistical model, q-extended weibull family of disributions, Statistics, Computer science, Multivariate statistics, Correlation, Programming language, Bivariate analysis, Economics, Econometrics and Finance, Correlation coefficient, Modeling and Forecasting Financial Volatility, Physical Sciences, Copula Modeling, Weibull distribution, Statistical physics, mathematical model, Mathematics, Finance, Detection and Handling of Multicollinearity in Regression Analysis

Prístupová URL adresa: https://doaj.org/article/85fe1d7a2baf4bafb37f589e20b85c2d